Relationship between liquidity and volatility of selected exchange rate pairs
| Název práce v češtině: | Vztah mezi likviditou a volatilitou u vybraných směnných kurzů |
|---|---|
| Název v anglickém jazyce: | Relationship between liquidity and volatility of selected exchange rate pairs |
| Klíčová slova: | liquidity, volatility, foreign exchange, currency |
| Klíčová slova anglicky: | liquidity, volatility, foreign exchange, currency |
| Akademický rok vypsání: | 2012/2013 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 14.05.2013 |
| Datum zadání: | 21.05.2013 |
| Datum a čas obhajoby: | 17.06.2014 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 12.05.2014 |
| Datum proběhlé obhajoby: | 17.06.2014 |
| Oponenti: | Mgr. Daniel Benčík |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| CARLSTON, B.: Examining the Commonality in Liquidity and Volatility risk. Duke university, working papers, 2012, http://econ.duke.edu/people/carlston/research
GOYENKO, R. Y., HOLDEN, C. W. & TRZCINKA CH. A.: Do Measures of Liquidity Measure Liquidity? Journal of Financial Economics 92, pp. 153-181, 2009 LOCKE, P. R., SARKAR, A.: Volatility and Liquidity in Futures Markets, Federal Reserve Bank of New York, 1996, http://www.newyorkfed.org/research/staff_reports/research_papers/9612.html MANCINI, L., RANALDO, A. & WRAMPELMEYER, J.: Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums. Journal of Finance, Forthcoming, 2012, http://ssrn.com/abstract=1447869 |
| Předběžná náplň práce |
| In the thesis, I will examine how liquidity and volatility are interrelated in foreign exchange market. Forex has not been studied as extensively as equity or bond markets, mainly because of its opaque structure and data unavailability, but it has improved. I will start with construction of liquidity (some measures in Goyenko, Holden & Trzcinka will be used) and volatility measures of several exchange rate pairs. Then, time series analysis will be performed and based on the results, conclusion will be made. Hypotheses about the relationship are following: 1) liquidity is negatively related to volatility and 2) increase (or decrease) in volatility precedes decrease (increase) in liquidity, because holding large inventories is more risky in times of high volatility and market-makers, as a result, decrease provided liquidity.
Outline: 1) Introduction 2) Theoretical background 3) Description of data 4) Estimation of liquidity and volatility 5) Relationship between liquidity and volatility 6) Conclusion |
| Předběžná náplň práce v anglickém jazyce |
| In the thesis, I will examine how liquidity and volatility are interrelated in foreign exchange market. Forex has not been studied as extensively as equity or bond markets, mainly because of its opaque structure and data unavailability, but it has improved. I will start with construction of liquidity (some measures in Goyenko, Holden & Trzcinka will be used) and volatility measures of several exchange rate pairs. Then, time series analysis will be performed and based on the results, conclusion will be made. Hypotheses about the relationship are following: 1) liquidity is negatively related to volatility and 2) increase (or decrease) in volatility precedes decrease (increase) in liquidity, because holding large inventories is more risky in times of high volatility and market-makers, as a result, decrease provided liquidity.
Outline: 1) Introduction 2) Theoretical background 3) Description of data 4) Estimation of liquidity and volatility 5) Relationship between liquidity and volatility 6) Conclusion |